Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in Note 2. Predominantly all of the Firm’s AFS and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities. At September 30, 2021, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings).

During the second quarter of 2021, the Firm transferred $104.5 billion of investment securities from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains of $425 million on the securities at the date of transfer.

Refer to Note 10 of JPMorgan Chase’s 2020 Form 10-K for additional information regarding the investment securities portfolio.

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.


	September 30, 2021								December 31, 2020
(in millions)	Amortized cost(c)(d)		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost(c)(d)		Gross unrealized gains		Gross unrealized losses		Fair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	$	72,749	$	1,091	$	791	$	73,049	$	110,979	$	2,372	$	50	$	113,301
Residential:
U.S.	2,265		58		—		2,323		6,246		224		3		6,467
Non-U.S.	4,014		36		—		4,050		3,751		20		5		3,766
Commercial	3,102		41		11		3,132		2,819		71		34		2,856
Total mortgage-backed securities	82,130		1,226		802		82,554		123,795		2,687		92		126,390
U.S. Treasury and government agencies	121,227		730		486		121,471		199,910		2,141		100		201,951
Obligations of U.S. states and municipalities	16,471		1,049		5		17,515		18,993		1,404		1		20,396

Non-U.S. government debt securities	15,738		111		24		15,825		22,587		354		13		22,928
Corporate debt securities	263		6		9		260		215		4		3		216
Asset-backed securities:
Collateralized loan obligations	9,133		8		4		9,137		10,055		24		31		10,048
Other	4,771		59		2		4,828		6,174		91		16		6,249


Total available-for-sale securities	249,733		3,189		1,332		251,590		381,729		6,705		256		388,178
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	101,086		1,923		412		102,597		107,889		2,968		29		110,828
U.S. Residential	7,021		4		43		6,982		4,345		8		30		4,323
Commercial	3,738		20		21		3,737		2,602		77		—		2,679
Total mortgage-backed securities	111,845		1,947		476		113,316		114,836		3,053		59		117,830
U.S. Treasury and government agencies	182,368		133		1,225		181,276		53,184		50		—		53,234
Obligations of U.S. states and municipalities	13,465		397		9		13,853		12,751		519		—		13,270
Asset-backed securities:
Collateralized loan obligations	33,664		90		9		33,745		21,050		90		2		21,138
Other	2,200		4		1		2,203		—		—		—		—
Total held-to-maturity securities	343,542		2,571		1,720		344,393		201,821		3,712		61		205,472
Total investment securities, net of allowance for credit losses	$	593,275	$	5,760	$	3,052	$	595,983	$	583,550	$	10,417	$	317	$	593,650

(a)Includes AFS U.S. GSE obligations with fair values of $44.1 billion and $65.8 billion, and HTM U.S. GSE obligations with amortized cost of $71.9 billion and $86.3 billion, at September 30, 2021 and December 31, 2020, respectively. As of September 30, 2021, mortgage-backed securities issued by Fannie Mae and Freddie Mac each exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities were $69.5 billion and $71.1 billion, and $46.3 billion and $46.3 billion, respectively.

(b)The Firm purchased $15.9 billion and $79.0 billion of HTM securities for the three and nine months ended September 30, 2021, respectively, and $514 million and $5.5 billion for the three and nine months ended September 30, 2020, respectively.

(c)The amortized cost of investment securities is reported net of allowance for credit losses of $73 million and $78 million at September 30, 2021 and December 31, 2020, respectively.

(d)Excludes $1.8 billion and $2.1 billion of accrued interest receivables at September 30, 2021 and December 31, 2020, respectively. The Firm did not reverse through interest income any accrued interest receivables for the three and nine months ended September 30, 2021 and 2020.

AFS securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at September 30, 2021 and December 31, 2020. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $1.3 billion and $150 million, at September 30, 2021 and December 31, 2020, respectively; changes in the value of these securities are generally driven by changes in interest rates rather than changes in their credit profile given the explicit or implicit guarantees provided by the U.S. government.


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
September 30, 2021 (in millions)	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Total fair value		Total gross unrealized losses
Available-for-sale securities
Mortgage-backed securities:

Residential:
U.S.	$	72	$	—	$	31	$	—	$	103	$	—
Non-U.S.	134		—		—		—		134		—
Commercial	250		5		363		6		613		11
Total mortgage-backed securities	456		5		394		6		850		11

Obligations of U.S. states and municipalities	271		5		—		—		271		5

Non-U.S. government debt securities	5,031		17		441		7		5,472		24
Corporate debt securities	149		9		40		—		189		9
Asset-backed securities:
Collateralized loan obligations	4,381		4		270		—		4,651		4
Other	1,500		—		206		2		1,706		2
Total available-for-sale securities with gross unrealized losses	$	11,788	$	40	$	1,351	$	15	$	13,139	$	55


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 2020 (in millions)	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Total fair value		Total gross unrealized losses
Available-for-sale securities
Mortgage-backed securities:

Residential:
U.S.	$	562	$	3	$	32	$	—	$	594	$	3
Non-U.S.	2,507		4		235		1		2,742		5
Commercial	699		18		124		16		823		34
Total mortgage-backed securities	3,768		25		391		17		4,159		42

Obligations of U.S. states and municipalities	49		1		—		—		49		1

Non-U.S. government debt securities	2,709		9		968		4		3,677		13
Corporate debt securities	91		3		5		—		96		3
Asset-backed securities:
Collateralized loan obligations	5,248		18		2,645		13		7,893		31
Other	268		1		685		15		953		16
Total available-for-sale securities with gross unrealized losses	$	12,133	$	57	$	4,694	$	49	$	16,827	$	106

HTM securities – credit risk

Credit quality indicator

The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At both September 30, 2021 and December 31, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 98% rated at least AA+.

Allowance for credit losses

The allowance for credit losses on investment securities was $73 million and $120 million as of September 30, 2021 and 2020, respectively.

Refer to Note 10 of JPMorgan Chase’s 2020 Form 10-K for further discussion of accounting policies for AFS and HTM securities.

Selected impacts of investment securities on the Consolidated statements of income


	Three months ended September 30,				Nine months ended September 30,
(in millions)	2021		2020		2021		2020
Realized gains	$	60	$	1,123	$	481	$	2,842
Realized losses	(316)		(650)		(878)		(2,110)


Investment securities gains/(losses)	$	(256)	$	473	$	(397)	$	732

Provision for credit losses	$	(14)	$	97	$	(5)	$	110

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at September 30, 2021, of JPMorgan Chase’s investment securities portfolio by contractual maturity.


By remaining maturity September 30, 2021 (in millions)	Due in one year or less			Due after one year through five years			Due after five years through 10 years			Due after 10 years(b)			Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost	$	—		$	2,882		$	5,326		$	73,925		$	82,133
Fair value	—			2,916			5,650			73,988			82,554
Average yield(a)	—		%	1.47		%	1.79		%	2.33		%	2.26		%
U.S. Treasury and government agencies
Amortized cost	$	5,111		$	88,001		$	19,610		$	8,505		$	121,227
Fair value	5,150			88,082			19,581			8,658			121,471
Average yield(a)	1.28		%	0.53		%	0.68		%	0.50		%	0.58		%
Obligations of U.S. states and municipalities
Amortized cost	$	15		$	167		$	1,216		$	15,073		$	16,471
Fair value	16			172			1,277			16,050			17,515
Average yield(a)	3.91		%	4.37		%	4.88		%	5.01		%	4.99		%




Non-U.S. government debt securities
Amortized cost	$	6,750		$	4,980		$	3,811		$	197		$	15,738
Fair value	6,762			5,050			3,816			197			15,825
Average yield(a)	2.02		%	2.54		%	0.84		%	0.38		%	1.88		%
Corporate debt securities
Amortized cost	$	—		$	233		$	30		$	—		$	263
Fair value	—			228			32			—			260
Average yield(a)	—		%	7.74		%	1.63		%	—		%	7.01		%
Asset-backed securities
Amortized cost	$	1,500		$	1,076		$	3,800		$	7,528		$	13,904
Fair value	1,500			1,081			3,807			7,577			13,965
Average yield(a)	1.19		%	1.93		%	1.27		%	1.26		%	1.31		%
Total available-for-sale securities
Amortized cost	$	13,376		$	97,339		$	33,793		$	105,228		$	249,736
Fair value	13,428			97,529			34,163			106,470			251,590
Average yield(a)	1.65		%	0.70		%	1.09		%	2.48		%	1.56		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	1,029		$	11,737		$	99,091		$	111,857
Fair value	—			1,050			12,197			100,069			113,316
Average yield(a)	—		%	1.68		%	2.42		%	2.90		%	2.84		%
U.S. Treasury and government agencies
Amortized cost	$	14,376		$	97,814		$	70,178		$	—		$	182,368
Fair value	14,383			97,545			69,348			—			181,276
Average yield(a)	0.65		%	0.66		%	1.29		%	—		%	0.90		%
Obligations of U.S. states and municipalities
Amortized cost	$	35		$	66		$	1,059		$	12,363		$	13,523
Fair value	35			66			1,105			12,647			13,853
Average yield(a)	3.78		%	2.67		%	3.67		%	3.84		%	3.82		%
Asset-backed securities
Amortized cost	$	—		$	—		$	13,535		$	22,329		$	35,864
Fair value	—			—			13,592			22,356			35,948
Average yield(a)	—		%	—		%	1.19		%	1.25		%	1.23		%
Total held-to-maturity securities
Amortized cost	$	14,411		$	98,909		$	96,509		$	133,783		$	343,612
Fair value	14,418			98,661			96,242			135,072			344,393
Average yield(a)	0.66		%	0.67		%	1.44		%	2.71		%	1.68		%

(a)Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. However, for certain callable debt securities, the average yield is calculated to the earliest call date.

(b)Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 6 years for agency residential MBS, 4 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.